Combine the mayonnaise, capers, zest, and lemon juice in a small bowl; cover and refrigerate.

Combine the paprika, oregano, coriander, and salt on a sheet of wax paper. Dip one side of each scallop into the spice mixture and set them on a plate, spice-side up.

Heat the oil in a large nonstick skillet over medium-high heat until very hot. Add the scallops, spice-side down, and cook until the scallops are browned and opaque in the center, 2-3 minutes on each side.

Stick a small wooden skewer into the side of each scallop so that it looks like a lollipop; serve with the sauce on the side.